Christoffersen, Jacobs, and Ornthanalai (2012) (CJO) propose an interesting and useful class of generalized autoregressive conditional heteroskedasticity (GARCH)-like models with dynamic jump intensity, and find evidence that the models not only fit returns data better than some commonly used benchmarks but also provide substantial improvements in option pricing performance. While such models pose difficulties for estimation and analysis, CJO propose an innovative approach to filtering intended to addresses them. However, some statistical issues arise that their approach leaves unresolved, with implications for the option pricing results. This note proposes a solution based on using the filter and estimator proposed by CJO but interpreted in the context of an alternative model. With respect to this model, the estimator is consistent, and likelihood-based model comparisons and hypothesis tests are valid.

Using a staggered installation of sanitary pad vending machines across schools in the Indian state of Kerala, we study the impacts of free monthly access to sanitary pads on girls' educational outcomes. We find that the number of dropouts among female students in the 7th-grade decrease by 24 percentage points and the attendance rate increases by 23 percentage points after the treatment. Our results are mainly driven by girls in backward-caste, rural schools, and public schools, supporting the idea that free distribution of sanitary pads alleviates cost of obtaining sanitary pads.

Borrowers' use of cashless payments improves their access to capital from FinTech lenders and predicts a lower probability of default. These relationships are stronger for cashless technologies providing more precise information, and for outflows. Cashless payment usage complements other signals of borrower quality. We rationalize these empirical findings using a framework in which borrowers signal their lower likelihood of diverting cash flows through payment technology choice, and screening accuracy is further strengthened by informational complementarities. The informational synergy we uncover provides a rationale for the joint rise of cashless payments and FinTech lending, as well as for open banking.

We investigate the existence and persistence of financial hardship at the household level using data from the British Household Panel Survey. Our modelling strategy makes three important contributions to the existing literature on household finances. Firstly, we model nine different types of household financial problems within a joint framework, allowing for correlation in the random effects across the nine equations. Secondly, we develop a dynamic framework in order to model the persistence of financial problems over time by extending our multi-equation framework to allow the presence or otherwise of different types of financial problems in the previous time period to influence the probability that the household currently experiences such problems. Our third contribution relates to the possibility that experiencing financial problems may be correlated with sample attrition. We model missing observations in the panel in order to allow for such attrition. Our modelling framework allows us to identify any persistence in financial problems over time as well as any interdependence that may exist between different types of financial problems. Our findings reveal interesting variations in the determinants of experiencing different types of financial problems including demographic and regional differences. Our findings also highlight persistence in experiencing financial problems over time as well as the role that saving on a regular basis can play in mitigating current financial problems.

Using a novel scanner data and difference-in-differences strategy, we assess how consumers respond to a large-scale tax reform in India that introduces exogenous variations in tax rate changes at the product level. We show evidence of a strong and persistent spending response to tax rate changes. The response is highly asymmetrical, with consumers responding significantly more strongly to tax rate increases than to decreases. We find empirical support for both intertemporal and cross-product substitution effects: Households (1) shift consumption forward preceding a tax increase and (2) substitute one good for another and alter their relative weight in the consumption basket to avoid paying higher tax. Heterogeneity analysis indicates that consumers with more personal shopping experience exhibit stronger consumption responses. Our findings have empirical implications for the efficacy of tax policy initiatives.

We study the nature and effects of cultural biases in choice under risk and uncertainty by comparing peer-to-peer loans the same individuals ( lenders ) make alone and after observing robo-advised suggestions. When unassisted, lenders are more likely to choose co-ethnic borrowers, facing 8% higher defaults and 7.3pp lower returns. Robo-advising does not affect diversification but reduces lending to high-risk co-ethnic borrowers. Lenders in locations with high inter-ethnic animus drive the results, even when borrowers reside elsewhere. Biased beliefs explain these results better than a conscious taste for discrimination: lenders rarely override robo-advised matches to ethnicities they discriminated against when unassisted.

This paper investigates the effect of frictions in consumption taxes on firms' product mix decisions. We use a stacked difference-indifferences approach that exploits the staggered transition from a sales tax with the risk of tax cascading to a value added tax (VAT) with credits on inputs across states in India, as well as detailed data on listed manufacturing firms' production decisions. We find that the switch to a VAT system induces affected firms to narrow their product scope and to reduce vertical integration. That is, firms cut the internal production of input goods and instead focus their production on their best-performing products. Firms affected by the switch to VAT reduce their firm size and are more likely to outsource production of input goods. We also show that this vertical disintegration results in lower manufacturing costs, higher profitability and firm value, and increased investment efficiency for affected firms. Overall, the paper shows that alleviating frictions in sales tax or VAT systems can reduce investment and productivity distortions and improve the allocation of capital across firms.

We study how consumer spending responds to digital payments, using the differential switch to digital payments across consumers induced by the sudden 2016 Indian Demonetization for identification. Digital payment use rose by 2.94 percentage points and monthly spending increased by 2.38% for an additional 10 percentage points in prior cash dependence. Spending remained elevated even when cash availability recovered. Robustness analyses show that the spending response is not driven by purchase substitution, income shocks, credit supply, or price changes. We provide causal evidence that digital payments increase consumer spending due to subdued endowment effects.